Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Western Mining Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Western Mining Co., Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.4%, MDD -52.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.9%, drawdown -92.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.2%, MDD -55.0%, Sharpe 0.54, 25% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 4.4%, MDD -52.9%, exposure 20%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=61, k=2.2 |
11.2% | -55.0% | 0.54 | 0.20 | 7.6x | 43 | 25% |
| Supertrend period=13, mult=3.1 |
10.6% | -60.3% | 0.49 | 0.17 | 6.8x | 107 | 44% |
| Donchian 채널 돌파 entryN=59, exitN=23 |
9.7% | -60.7% | 0.48 | 0.16 | 5.9x | 43 | 30% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=12, mult=2.1 |
8.3% | -59.5% | 0.43 | 0.14 | 4.6x | 59 | 34% |
| Parabolic SAR step=0.015, maxStep=0.02 |
7.7% | -67.2% | 0.40 | 0.11 | 4.1x | 97 | 45% |
| ADX / DI 방향성 period=35, threshold=9 |
6.9% | -69.7% | 0.37 | 0.10 | 3.6x | 155 | 51% |
| SMA 크로스오버 fast=54, slow=94 |
6.9% | -69.1% | 0.37 | 0.10 | 3.6x | 53 | 44% |
| ROC 모멘텀 n=75, threshold=0.22 |
4.4% | -52.9% | 0.30 | 0.08 | 2.3x | 105 | 20% |
| EMA 크로스오버 fast=27, slow=138 |
3.8% | -71.6% | 0.28 | 0.05 | 2.0x | 37 | 43% |
| MACD fast=12, slow=27, signal=14 |
-1.4% | -79.7% | 0.12 | -0.02 | 0.8x | 260 | 55% |
| Buy and hold | 0.9% | -92.6% | 0.25 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 61-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 61-day middle average